Section I: Summary of Claughton Capital - Institutional Program
Section II: Performance chart
Section III: Correlation tables
Section I: Summary of Claughton Capital - Institutional Program
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
| DRAWDOWN ANALYSIS: | ||||
| Depth | Length | Peak | Valley | Recovery |
| -18.90% | 15 | May-09 | Jul-10 | not yet |
| -13.30% | 9 | Jan-08 | May-08 | Oct-08 |
| -9.73% | 7 | Oct-08 | Mar-09 | May-09 |
| -7.87% | 2 | Nov-07 | Dec-07 | Jan-08 |
| -5.59% | 5 | Jun-07 | Oct-07 | Nov-07 |
| -5.07% | 5 | May-06 | Jul-06 | Oct-06 |
| -2.06% | 2 | Sep-05 | Oct-05 | Nov-05 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
| RISK ANALYSIS: | ||||
| Month | Annualized | |||
| Compound ROR | 0.67% | 8.30% | ||
| Volatility | 12.62% | |||
| Modified Sharpe: | 0.47 | |||
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Section III: Correlation Tables
| CORRELATION ANALYSIS | ||
| Index | Monthly |
Daily |
R |
R |
|
| Newedge CTA Index | 0.22 | 0.16 |
| S&P500 Total Return | -0.20 | -0.20 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
| Daily Correlation Analysis | ||
| Correlation vs Newedge CTA Index, all days | 16.13% | |
| Correlation, negative Newedge CTA Index days | 4.30% | |
| Correlation, positive Newedge CTA Index days | 13.78% | |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.